Woo , finally did it !
For those coming after me , here is how I did :
Your struggle probably comes from the self.value() never being a list , right ? Well then, if you override the template filter.html to add a "multiple" to the <select>, then , in your redefinition of the queryset() function, do a self.value = request.GET.getlist("[Insert parameter_name from your filter]"), then you'll get the list you clicked back in the Django admin !
(The problem being that django uses request.GET.items() to retrieve the self.value(). Alas, as stated
in this documentation, this method only gets the last item of the QueryDict object, unlike getlist() !
There is still one little problem to fix, being that , when loading the new page, the filter is being "resetted", containing only the last item of the QueryDict. I believe that's nothing that an handy JS /JQuery script can't handle though, so I may edit this comment adding the script when I manage to get it to work.
Cheers!